On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
type: Item
instance of: scholarly article
title: On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
zbMATH Open document ID: 1411.91625
author: Álvaro Leitao
author: Lech A. Grzelak
author: Cornelis W. Oosterlee
published in: Applied Mathematics and Computation
publication date: 2019-03-27T00:00:00Z
full work available at URL: https://ir.cwi.nl/pub/24774
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 7042752
zbMATH Keywords: computational finance
zbMATH Keywords: stochastic-local volatility models
zbMATH Keywords: SABR model
zbMATH Keywords: copulas
MaRDI profile type: Publication
OpenAlex ID: W2510306499
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DOI: 10.1016/J.AMC.2016.08.030
description: scientific article; zbMATH DE number 7042752